Growth rates of sample covariances of stationary symmetric [alpha]-stable processes associated with null recurrent Markov chains

A null recurrent Markov chain is associated with a stationary mixing S[alpha]S process. The resulting process exhibits such strong dependence that its sample covariance grows at a surprising rate which is slower than one would expect based on the fatness of the marginal distribution tails. An additional feature of the process is that the sample autocorrelations converge to non-random limits.

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Year of publication:	2000
Authors:	Resnick, Sidney ; Samorodnitsky, Gennady ; Xue, Fang
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 85.2000, 2, p. 321-339
Publisher:	Elsevier
Keywords:	Heavy tails Sample covariance ACF Stable process Null recurrent Markov chain

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873880